Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0621
Annualized Std Dev 0.3434
Annualized Sharpe (Rf=0%) -0.1809

Row

Daily Return Statistics

Close
Observations 3205.0000
NAs 1.0000
Minimum -0.1540
Quartile 1 -0.0088
Median 0.0004
Arithmetic Mean 0.0000
Geometric Mean -0.0003
Quartile 3 0.0098
Maximum 0.1735
SE Mean 0.0004
LCL Mean (0.95) -0.0008
UCL Mean (0.95) 0.0007
Variance 0.0005
Stdev 0.0216
Skewness -0.2540
Kurtosis 10.7555

Downside Risk

Close
Semi Deviation 0.0158
Gain Deviation 0.0156
Loss Deviation 0.0175
Downside Deviation (MAR=210%) 0.0201
Downside Deviation (Rf=0%) 0.0158
Downside Deviation (0%) 0.0158
Maximum Drawdown 0.8831
Historical VaR (95%) -0.0315
Historical ES (95%) -0.0534
Modified VaR (95%) -0.0324
Modified ES (95%) -0.0524
From Trough To Depth Length To Trough Recovery
2008-06-26 2012-07-25 NA -0.8831 3206 1029 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA -2.9 -1.8 -0.7 1.8 1 -12.9 2.8 -12.8
2009 6.2 -2.7 2.2 -0.2 4.1 1.2 -0.9 -3.5 -4.9 -3.2 1.4 0.2 -0.7
2010 3.3 0.5 0.9 -2.6 -3.4 2 -2.9 3.2 -0.6 -1 1.8 0.1 1
2011 2.4 -1.1 -0.4 2.7 -3.6 0.8 -0.6 -2.3 -4 -4.2 -1.1 0.9 -10.3
2012 1.8 0.2 -0.7 1.3 -2.7 3.3 -0.3 1.4 0.9 0.8 0.1 1 7.2
2013 -0.2 -0.1 0 0.2 -2.5 0.3 2.3 0.2 1.3 0.3 0.2 0.6 2.6
2014 -1 -0.6 0.3 0.2 -0.6 -0.3 -0.9 0 -2.6 1.7 -3 0 -6.7
2015 -0.6 0.5 1.4 0.9 -1.6 -0.2 -0.3 -3.2 1.2 -1 1.6 -0.3 -1.7
2016 0.6 2.6 -0.7 -0.1 1.9 0.1 0.3 0.3 -1.4 -2.3 -0.8 -0.4 0
2017 1.3 1 0.7 0.8 0.2 0.8 0.1 0.3 0.1 -0.1 -0.8 0.4 5.1
2018 -0.5 -0.6 0.4 0.1 -0.5 0.8 -0.5 0.8 -0.2 2.8 -0.1 0.4 2.8
2019 0.1 -0.1 0.9 -0.4 -0.5 0.8 0.2 -0.3 -0.4 0.4 0.2 0.3 1.3
2020 -1.5 0 -3.8 -3.4 1.8 1.3 -0.7 1.6 3.2 -1 -0.9 -0.2 -3.7
2021 2.2 3.8 2.6 NA NA NA NA NA NA NA NA NA 8.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2008-06-25  52.8 SPY    132.  0.0047  -0.0182  -0.0494  -0.0073   -0.111   0.0997    0.338 GLD    87.4 -6.00e-4  -0.0097
2 2008-06-26  51.1 SPY    128. -0.0272  -0.046   -0.0795  -0.0249   -0.147   0.0777    0.315 GLD    90.6  3.65e-2   0.0248
3 2008-06-27  50.2 SPY    128. -0.0055  -0.0308  -0.0891  -0.0336   -0.152   0.0703    0.291 GLD    91.5  9.50e-3   0.0283
4 2008-06-30  50.2 SPY    128.  0.0035  -0.0264  -0.0881  -0.0632   -0.149   0.0652    0.310 GLD    91.4 -8.00e-4   0.0495
5 2008-07-01  48.8 SPY    128.  0.0031  -0.0214  -0.0757  -0.0609   -0.154   0.0714    0.315 GLD    92.7  1.38e-2   0.0593
6 2008-07-02  47.5 SPY    126. -0.0171  -0.0427  -0.0862  -0.0792   -0.172   0.0587    0.281 GLD    93.2  5.50e-3   0.0658
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart